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A new De Vylder type approximation of the ruin probability in infinite time


  • Krzysztof Burnecki
  • Pawel Mista
  • Aleksander Weron


In this paper we introduce a generalization of the De Vylder approximation. Our idea is to approximate the ruin probability with the one for a different process with gamma claims, matching first four moments. We compare the two approximations studying mixture of exponentials and lognormal claims. In order to obtain exact values of the ruin probability for the lognormal case we use Pollaczeck-Khinchine formula. We show that the proposed 4-moment gamma De Vylder approximation works even better than the original one.

Suggested Citation

  • Krzysztof Burnecki & Pawel Mista & Aleksander Weron, 2003. "A new De Vylder type approximation of the ruin probability in infinite time," HSC Research Reports HSC/03/05, Hugo Steinhaus Center, Wroclaw University of Technology.
  • Handle: RePEc:wuu:wpaper:hsc0305

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    File Function: Original version, 2003
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    More about this item


    Risk process; Ruin probability; De Vylder approximation; Pollaczeck-Khinchine formula;

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies


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